Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 10 9 10
Score 7.44 6.29 8.62
Market Cap (Millions USD) 1690.64 1637.01 1643.15
Predicted Beta 3.5 3.5 3.5
Idiosyncratic Volatility 3.12 4.49 5.11

Annualized return and volatility

IGM
Annualized Return 0.0878
Annualized Std Dev 0.2382
Annualized Sharpe (Rf=0%) 0.3686

Row

Daily Return Statistics

IGM
Observations 4804.0000
NAs 310.0000
Minimum -0.0830
Quartile 1 -0.0058
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0073
Maximum 0.1125
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0150
Skewness 0.2256
Kurtosis 5.6218

Downside Risk

IGM
Semi Deviation 0.0106
Gain Deviation 0.0110
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.6559
Historical VaR (95%) -0.0248
Historical ES (95%) -0.0355
Modified VaR (95%) -0.0216
Modified ES (95%) -0.0288
From Trough To Depth Length To Trough Recovery
2001-05-23 2002-10-09 2011-02-07 -0.6559 2485 351 2134
2018-08-30 2018-12-24 2019-03-21 -0.2418 142 82 60
2011-02-18 2011-08-19 2012-02-03 -0.2011 245 128 117
2001-03-26 2001-04-04 2001-04-18 -0.1893 18 9 9
2015-12-07 2016-02-09 2016-07-12 -0.1731 152 45 107

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IGM
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA 0.0 3.3 1.4 0.0 1.6 0.0 -2.4 3.6 0.0 0 7.7
2002 -1.2 5.3 0.5 -0.9 0.0 -4.8 -3.9 0.0 4.3 3.3 0.0 0 2.2
2003 0.0 0.0 -0.1 0.5 0.0 1.5 -0.6 0.0 1.7 0.0 1.1 0 4.2
2004 0.0 1.2 1.6 0.0 -0.4 -2.2 0.0 0.9 3.1 0.6 2.2 0 7.2
2005 0.5 1.0 -0.6 0.0 1.0 0.2 0.5 -0.4 0.0 -0.1 1.9 0 4.0
2006 0.1 2.0 0.0 -0.8 1.9 0.0 -1.5 0.2 0.0 -0.8 -1.2 0 -0.3
2007 0.0 -0.5 0.0 0.3 0.1 0.0 0.9 0.0 1.2 -1.5 0.0 0 0.4
2008 1.6 0.0 3.6 3.1 0.0 0.5 -0.8 0.0 -1.6 0.0 -7.4 0 -1.5
2009 0.0 0.0 2.3 0.6 3.5 0.4 0.0 -1.9 -2.8 0.0 1.2 0 3.2
2010 1.4 1.6 -0.2 0.0 -1.1 -0.4 0.0 3.0 -0.2 0.2 2.1 0 6.5
2011 1.9 -1.7 -0.1 0.0 -2.3 1.7 -0.5 -1.2 0.0 -2.8 0.5 0 -4.5
2012 0.9 0.6 0.0 0.2 -2.9 0.0 -0.5 0.0 -0.1 1.9 0.0 0 0.1
2013 1.1 0.3 -0.9 -1.0 0.0 0.5 1.3 0.0 1.0 0.0 0.0 0 2.3
2014 0.0 0.0 1.5 0.2 0.0 1.3 -0.5 0.0 -1.8 0.0 -1.3 0 -0.7
2015 0.0 0.0 -0.7 1.0 0.5 0.5 0.0 -3.2 0.0 0.0 1.2 0 -0.8
2016 0.3 2.9 0.8 0.0 -0.1 0.2 0.3 0.3 0.0 -0.8 -2.3 0 1.6
2017 0.5 1.4 0.0 0.9 0.4 0.0 0.4 -0.1 0.0 -0.1 -0.6 0 2.9
2018 -0.3 -1.6 0.0 1.1 1.7 0.0 0.6 0.0 0.2 1.4 0.0 0 3.1
2019 0.0 0.9 1.5 -0.5 0.0 1.4 -0.6 0.0 -0.9 1.0 0.0 0 2.8

Row

Rolling Performance Chart

Snail Trail Chart